The 22-year-old Aboriginal woman died on August 4 last year after being held at the South Hedland Police Station because she owed about $1000 in unpaid fines.
Police said at the time that after complaining of feeling ill, Ms Dhu was taken to hospital three times and died on the final visit.
Carol Roe said on Sunday that her granddaughter should never have been locked up.
"We are devastated. We want to make sure that something like this never happens again," she said.
"We call on Premier Barnett to take real action to reduce the risks of more Aboriginal people dying in custody."
Human Rights Law Centre senior lawyer Ruth Barson said people in WA who were unable to pay fines, either via a payment plan or through community work, were imprisoned.
Since 2010, about 1000 people had been sent to jail each year for unpaid fines, she said.
"Locking people up for unpaid fines obviously hits poor and disadvantaged people the hardest," Ms Barson said.
"It's a policy that unfairly impacts women and Aboriginal people most."
Ms Dhu's death sparked several rallies across Australia.
An inquest examining the circumstances surrounding Ms Dhu's death begins on Monday.